Christian Schlag

Goethe University Frankfurt - Research Center SAFE

(http://www.safe-frankfurt.de)

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

  • Goethe University Frankfurt - Research Center SAFE

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SCHOLARLY PAPERS

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Scholarly Papers (43)

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1.

Volatility-of-Volatility Risk

Downloads 1,329 ( 13,738)

Volatility-of-Volatility Risk

Number of pages: 65 Posted: 19 Sep 2014 Last Revised: 19 Feb 2018
Darien Huang, Christian Schlag, Ivan Shaliastovich and Julian Thimme
Cornell University - Department of Finance, Goethe University Frankfurt - Research Center SAFE, University of Wisconsin - Madison and Goethe University Frankfurt - House of Finance
Downloads 1,130 (17,297)

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volatility, volatility of volatility, VIX, VVIX, options

Volatility-of-Volatility Risk

SAFE Working Paper No. 210
Number of pages: 62 Posted: 29 May 2018 Last Revised: 04 Jun 2018
Christian Schlag, Ivan Shaliastovich, Julian Thimme and Darien Huang
Goethe University Frankfurt - Research Center SAFE, University of Wisconsin - Madison, Goethe University Frankfurt - House of Finance and Cornell University - Department of Finance
Downloads 199 (149,576)

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volatility of volatility, hedging errors, risk premiums

2.

CAPM with Option-Implied Betas: Another Rescue Attempt

Number of pages: 48 Posted: 14 Feb 2009 Last Revised: 18 Mar 2009
Adrian Buss, Christian Schlag and Grigory Vilkov
INSEAD - Finance, Goethe University Frankfurt - Research Center SAFE and Frankfurt School of Finance & Management
Downloads 1,085 (18,760)

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conditional CAPM, regime switching, forward-looking betas, sentiment, implied correlations

3.

The Dynamics of Risk-Neutral Implied Moments: Evidence from Individual Options

Number of pages: 32 Posted: 10 Sep 2009 Last Revised: 02 Feb 2010
Alexandra Hansis, Christian Schlag and Grigory Vilkov
Goethe University Frankfurt - House of Finance, Goethe University Frankfurt - Research Center SAFE and Frankfurt School of Finance & Management
Downloads 961 (22,426)

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risk-neutral distribution, option-implied moments, model-free variance, skewness, kurtosis, vector autoregression

4.

Model Risk: A Conceptual Framework for Risk Measurement and Hedging

EFMA 2004 Basel Meetings Paper
Number of pages: 28 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 954 (22,665)

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Model Risk, Risk Measures, Hedging, Expected Shortfall, Bayesian statistics

5.

Elephants and the Cross-Section of Expected Returns

Number of pages: 37 Posted: 21 Nov 2017 Last Revised: 15 Mar 2019
Nora Laurinaityte, Christoph Meinerding, Christian Schlag and Julian Thimme
Goethe University Frankfurt, House of Finance (HoF), Graduate School of Economics, Finance and Management (GSEFM), Deutsche Bundesbank, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - House of Finance
Downloads 549 (48,278)

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Asset pricing, cross-section of expected returns, GMM, factor zoo

6.

Price Discovery in International Equity Trading

AFA 2002 Atlanta Meetings
Number of pages: 31 Posted: 10 May 2001
Joachim Grammig, Christian Schlag and Michael Melvin
Eberhard Karls Universitaet Tübingen, Goethe University Frankfurt - Research Center SAFE and University of California, San Diego (UCSD) - Rady School of Management
Downloads 510 (52,975)

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7.

An Empirical Analysis of the Relation between Option Market Liquidity and Stock Market Activity

EFMA 2004 Basel Meetings Paper
Number of pages: 42 Posted: 28 May 2004
Iskra Kalodera and Christian Schlag
University of Frankfurt and Goethe University Frankfurt - Research Center SAFE
Downloads 486 (56,320)

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Liquidity, market activity, options markets

8.

Why is the Index Smile so Steep?

EFMA 2003 Helsinki Meetings
Number of pages: 21 Posted: 11 Oct 2002
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 477 (57,689)

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Option pricing, jump-diffusion, smile, implied volatility

9.

The Leading Premium

Downloads 439 ( 63,836)

The Leading Premium

Number of pages: 70 Posted: 20 Nov 2015 Last Revised: 30 Jan 2019
Mariano (Max) Massimiliano Croce, Tatyana Marchuk and Christian Schlag
Finance Department, Bocconi University, BI Norwegian Business School and Goethe University Frankfurt - Research Center SAFE
Downloads 435 (63,898)

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The Leading Premium

NBER Working Paper No. w25633
Number of pages: 71 Posted: 12 Mar 2019
Mariano (Max) Massimiliano Croce, Tatyana Marchuk and Christian Schlag
Finance Department, Bocconi University, BI Norwegian Business School and Goethe University Frankfurt - Research Center SAFE
Downloads 4 (636,012)
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The Leading Premium

CEPR Discussion Paper No. DP12631
Number of pages: 52 Posted: 29 Jan 2018
Mariano (Max) Massimiliano Croce, Tatyana Marchuk and Christian Schlag
Finance Department, Bocconi University, BI Norwegian Business School and Goethe University Frankfurt - Research Center SAFE
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10.

An Economic Motivation for Variance Contracts

AFA 2006 Boston Meetings Paper
Number of pages: 41 Posted: 18 Mar 2005
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 398 (71,824)

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Variance Risk, Stochastic Volatility, Jump-Diffusion, Model Risk, Parameter Risk, Hedging Error

11.

Has There Always Been Underpricing and Long-Run Underperformance? - Ipos in Germany Before World War I

EFA 0469; Center for Financial Studies WP No. 2000/12
Number of pages: 24 Posted: 15 Jan 2001
Anja Wodrich and Christian Schlag
Center for Financial Studies (CFS) and Goethe University Frankfurt - Research Center SAFE
Downloads 397 (72,027)

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Initial Public Offerings, Underpricing, Long-Run Underperformance, Prize Stabilization, Impact of Changing Stock-Market Regulation and Institutional Setting on Underpricing

12.

Equilibrium Asset Pricing in Directed Networks

SAFE Working Paper No. 74, Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 73 Posted: 11 Nov 2014 Last Revised: 29 Oct 2018
Nicole Branger, Patrick Konermann, Christoph Meinerding and Christian Schlag
University of Muenster - Finance Center Muenster, BI Norwegian Business School, Deutsche Bundesbank and Goethe University Frankfurt - Research Center SAFE
Downloads 393 (72,858)

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Directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

13.

Option Betas

Number of pages: 32 Posted: 22 Jun 2002
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 350 (83,385)

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asset pricing, option pricing, beta, risk management

14.

Over-Allotment Options in Ipos on Germany's Neuer Markt - an Empirical Investigation

EFMA 2004 Basel Meetings Paper; CFS Working Paper No. 2002/16
Number of pages: 33 Posted: 14 Jul 2003
Stefanie Franzke and Christian Schlag
Center for Financial Studies an der Universität Frankfurt and Goethe University Frankfurt - Research Center SAFE
Downloads 319 (92,570)

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Over-Allotment Option, Flotation Costs, Underwriter Fee, Neuer Markt

15.

Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?

EFMA 2004 Basel Meetings Paper
Number of pages: 38 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - Research Center SAFE
Downloads 315 (93,860)

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Stochastic Volatility, Volatility Risk Premium, Discretization Error, Model Error

16.

Expected Option Returns and the Structure of Jump Risk Premia

Downloads 313 ( 94,535)

Expected Option Returns and the Structure of Jump Risk Premia

EFA 2009 Bergen Meetings Paper
Number of pages: 39 Posted: 11 Feb 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 173 (170,186)

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Option returns, put puzzle, jump risk premia, volatility risk premium

Expected Option Returns and the Structure of Jump Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 40 Posted: 18 Mar 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 140 (203,648)

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Option returns, put puzzle, jump risk premia, volatility risk premium

17.

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Downloads 274 (109,126)

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 60 Posted: 16 Mar 2011
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University - Department of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 164 (178,323)

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Asset pricing, Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 59 Posted: 14 Mar 2012
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University and Goethe University Frankfurt - Research Center SAFE
Downloads 110 (245,188)

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Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility, level and slope of implied volatility smile

18.

Optimists and Pessimists in (In)Complete Markets

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 52 Posted: 18 Nov 2013 Last Revised: 13 Jun 2019
Nicole Branger, Patrick Konermann and Christian Schlag
University of Muenster - Finance Center Muenster, BI Norwegian Business School and Goethe University Frankfurt - Research Center SAFE
Downloads 264 (113,376)

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Market (in)completeness, heterogeneous beliefs, jumps in the long-run growth rate, jumps in aggregate consumption, recursive preferences

19.

Asset Pricing Under Uncertainty About Shock Propagation

SAFE Working Paper No. 34
Number of pages: 67 Posted: 28 Nov 2013 Last Revised: 25 Mar 2014
Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding and Christian Schlag
University of Muenster - Finance Center Muenster, Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER), Goethe University Frankfurt, Deutsche Bundesbank and Goethe University Frankfurt - Research Center SAFE
Downloads 258 (116,170)

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General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility

20.

Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution

Number of pages: 78 Posted: 09 Dec 2016 Last Revised: 05 Jun 2019
Christian Schlag, Julian Thimme and Rüdiger Weber
Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - House of Finance and University of Michigan, Stephen M. Ross School of Business
Downloads 227 (132,244)

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Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing

21.

The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks

EFA 2004 Maastricht Meetings Paper No. 3267
Number of pages: 46 Posted: 22 Jul 2004
Joachim Grammig, Christian Schlag and Michael Melvin
Eberhard Karls Universitaet Tübingen, Goethe University Frankfurt - Research Center SAFE and University of California, San Diego (UCSD) - Rady School of Management
Downloads 226 (132,808)

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22.

Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models

Number of pages: 55 Posted: 02 Jun 2016 Last Revised: 26 Jul 2018
Christian Schlag, Michael Semenischev and Julian Thimme
Goethe University Frankfurt - Research Center SAFE, University of Muenster - Finance Center Muenster and Goethe University Frankfurt - House of Finance
Downloads 217 (138,083)

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Asset pricing, cross-section of stock returns, predictability

23.

Mean-Variance Hedging with Limited Capital - a Decomposition Result

Number of pages: 18 Posted: 27 Mar 2002
Nicole Branger, Christian Schlag, Angelika Esser and Yulia Bondarenko
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, Sal. Oppenheim Jr. & Cie. and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 210 (142,481)

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Mean-Variance hedging, risk management, limited capital, expected squared hedging error, optimal trading strategy, incomplete market, hedging numeraire

24.

Does Ambiguity about Volatility Matter Empirically?

Number of pages: 57 Posted: 11 Dec 2014 Last Revised: 10 Oct 2016
Nicole Branger, Christian Schlag and Julian Thimme
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - House of Finance
Downloads 200 (149,067)

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Ambiguity, ambiguous volatility, asset pricing, long-run risks

25.

Extreme Inflation and Time-Varying Expected Consumption Growth

Number of pages: 75 Posted: 02 Sep 2016 Last Revised: 03 Apr 2019
Ilya Dergunov, Christoph Meinerding and Christian Schlag
Goethe University Frankfurt - Research Center SAFE, Deutsche Bundesbank and Goethe University Frankfurt - Research Center SAFE
Downloads 190 (156,375)

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Long-run risk, inflation, recursive utility, filtering, disaster risk

26.

Commodities, Financialization, and Heterogeneous Agents

SAFE Working Paper No. 131, BoL Working Paper No. 25/2016
Number of pages: 70 Posted: 07 Apr 2016 Last Revised: 29 Apr 2016
Nicole Branger, Patrick Grüning and Christian Schlag
University of Muenster - Finance Center Muenster, Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER) and Goethe University Frankfurt - Research Center SAFE
Downloads 185 (160,127)

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Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets

27.

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Downloads 155 (186,799)

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Number of pages: 38 Posted: 12 Feb 2009
Paulo Rodrigues and Christian Schlag
Maastricht University - Department of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 84 (293,709)

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Stochastic volatility, individual stocks, MCMC, volatility factors

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Number of pages: 38 Posted: 20 Mar 2009
Paulo Rodrigues and Christian Schlag
Maastricht University - Department of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 71 (324,603)

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stochastic volatility, individual stocks, MCMC, volatility factors

28.

Measuring Financial Integration Via Idiosyncratic Risk: What Effects are We Really Picking Up?

Number of pages: 8 Posted: 12 Jul 2006
David C. Parsley and Christian Schlag
Vanderbilt University – Finance and Economics and Goethe University Frankfurt - Research Center SAFE
Downloads 139 (204,239)

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financial market integration, risk-free rate

29.

When are Static Superhedging Strategies Optimal?

EFMA 2004 Basel Meetings Paper
Number of pages: 34 Posted: 14 May 2004
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Sal. Oppenheim Jr. & Cie.
Downloads 139 (204,239)

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Incomplete markets, superhedging, stochastic volatility, stochastic jumps

30.

Learning or Robust Control

Downloads 116 (234,834)

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 38 Posted: 02 Mar 2007
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 116 (235,957)

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Portfolio Selection, Model Uncertainty, Learning, Robust Control

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 17 Dec 2007 Last Revised: 14 Oct 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance

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Portfolio Selection, Model Uncertainty, Learning, Robust Control

31.

Rational Laymen Versus Over-Confident Experts: Who Survives in the Long-Run?

EFA 2006 Zurich Meetings Paper
Number of pages: 37 Posted: 14 Mar 2006
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 116 (234,834)

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General Equilibrium, Asset Allocation, Learning, Different Beliefs, Overconfidence

32.

Attainability of European Path-Independent Claims in Incomplete Markets

Number of pages: 17 Posted: 21 Jan 2003
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Sal. Oppenheim Jr. & Cie.
Downloads 116 (234,834)

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Incomplete markets, attainability, stochastic volatility, jump-diffusion, superhedging

33.

Level and Slope of Volatility Smiles in Long-Run Risk Models

SAFE Working Paper No. 186
Number of pages: 98 Posted: 06 Nov 2017 Last Revised: 14 Dec 2017
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University - Department of Finance and Goethe University Frankfurt - Research Center SAFE
Downloads 103 (255,368)

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Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile

34.

Macroeconomic Bond Risks at the Zero Lower Bound

Number of pages: 47 Posted: 12 Aug 2016
Nicole Branger, Christian Schlag, Ivan Shaliastovich and Dongho Song
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, University of Wisconsin - Madison and Johns Hopkins University - Carey Business School
Downloads 93 (273,100)

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Macro-Finance Term Structure Models, Zero Lower Bound, Shadow Rates, Shadow Risk Premia

35.

'Nobody is Perfect': Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors

SAFE Working Paper No. 114
Number of pages: 69 Posted: 12 Aug 2015
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 89 (280,819)

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General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence

36.

Temperature Shocks and Welfare Costs

SAFE Working Paper No. 177
Number of pages: 49 Posted: 07 Aug 2017
Michael Donadelli, Marcus Jüppner, Max Riedel and Christian Schlag
Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Research Center SAFE
Downloads 72 (318,514)

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Temperature shocks, long-run growth, asset prices, welfare costs, adaptation

37.

Hedging Under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others ...

The Journal of Futures Markets, Vol. 32, No. 5, 397–430 (2012)
Number of pages: 50 Posted: 06 Mar 2008 Last Revised: 29 Jan 2013
Nicole Branger, Christian Schlag, Eva Schneider and Norman Seeger
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Department of Finance and VU University Amsterdam
Downloads 59 (353,214)

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Hedging, Model Risk, Risk Measurement, Model Identification, Delta Hedge, Delta-Vega Hedge, Minimum-Variance Hedge

38.

Fuel is Pumping Premiums: A Consumption-Based Explanation of the Value Anomaly

Number of pages: 60 Posted: 30 Nov 2018
Robert F. Dittmar, Christian Schlag and Julian Thimme
University of Michigan, Stephen M. Ross School of Business, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - House of Finance
Downloads 52 (374,791)

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asset pricing, consumption, cross-section of stock returns, utility functions

39.

Temperature Volatility Risk

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 05/WP/2019
Number of pages: 53 Posted: 14 Feb 2019 Last Revised: 05 Mar 2019
Michael Donadelli, Marcus Jüppner, Antonio Paradiso and Christian Schlag
Goethe University Frankfurt - Research Center SAFE, Goethe University Frankfurt - Research Center SAFE, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Research Center SAFE
Downloads 41 (412,937)

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temperature volatility, TFP, asset prices, and welfare costs

40.

Discussion of 'Bounded Rationality, Rights Offerings, and Optimal Subscription Prices'

Schmalenbach Business Review, Vol. 60, July 2008
Number of pages: 3 Posted: 12 Oct 2008
Christian Schlag
Goethe University Frankfurt - Research Center SAFE
Downloads 37 (428,700)

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Bounded Rationality, Cultural Corporate Finance, Loss Aversion, Mental Accounting, Rights Issues, Signalling

41.

Equilibrium Asset Pricing in Directed Networks

Deutsche Bundesbank Discussion Paper No. 37/2018
Number of pages: 47 Posted: 26 Sep 2018 Last Revised: 21 Feb 2019
Nicole Branger, Christoph Meinerding, Patrick Konermann and Christian Schlag
University of Muenster - Finance Center Muenster, Deutsche Bundesbank, BI Norwegian Business School and Goethe University Frankfurt - Research Center SAFE
Downloads 13 (552,588)

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directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

42.

Extreme Inflation and Time-Varying Consumption Growth

Deutsche Bundesbank Discussion Paper No. 16/2019
Number of pages: 57 Posted: 21 May 2019
Ilya Dergunov, Christoph Meinerding and Christian Schlag
Goethe University Frankfurt - Research Center SAFE, Deutsche Bundesbank and Goethe University Frankfurt - Research Center SAFE
Downloads 1 (638,107)

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long-run risk, inflation, recursive utility, filtering, disaster risk

43.

Expiration Day Effects of Stock Index Derivatives in Germany

EUROPEAN FINANCIAL MANAGEMENT, Vol. 2 No. 1, March 1996
Posted: 27 Oct 1999
Christian Schlag
Goethe University Frankfurt - Research Center SAFE

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Other Papers (1)

Total Downloads: 150    Citations: 1
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1.

Pricing Two Trees When Trees and Investors are Heterogeneous

EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 01 Mar 2007 Last Revised: 26 Mar 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Department of Finance
Downloads 150

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Asset Pricing, Two-Tree Economy, Asymmetric Information, Learning, Long-Run Survival